Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0093 |
| Annualized Std Dev | 0.1099 |
| Annualized Sharpe (Rf=0%) | -0.0848 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4399.0000 |
| NAs | 1.0000 |
| Minimum | -0.0556 |
| Quartile 1 | -0.0030 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0030 |
| Maximum | 0.0838 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0069 |
| Skewness | -0.0095 |
| Kurtosis | 17.3018 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0050 |
| Gain Deviation | 0.0052 |
| Loss Deviation | 0.0056 |
| Downside Deviation (MAR=210%) | 0.0105 |
| Downside Deviation (Rf=0%) | 0.0050 |
| Downside Deviation (0%) | 0.0050 |
| Maximum Drawdown | 0.4361 |
| Historical VaR (95%) | -0.0094 |
| Historical ES (95%) | -0.0165 |
| Modified VaR (95%) | -0.0090 |
| Modified ES (95%) | -0.0090 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2004-04-02 | 2008-10-10 | NA | -0.4361 | 4271 | 1140 | NA |
| 2003-12-23 | 2003-12-29 | 2004-03-12 | -0.0374 | 55 | 4 | 51 |
| 2003-10-27 | 2003-10-30 | 2003-12-22 | -0.0278 | 40 | 4 | 36 |
| 2004-03-19 | 2004-03-24 | 2004-04-01 | -0.0148 | 10 | 4 | 6 |
| 2004-03-15 | 2004-03-16 | 2004-03-18 | -0.0052 | 4 | 2 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | 0 | 0.1 | 0 | 0 | 0.1 |
| 2004 | 0.3 | 0.4 | 1.3 | 0.5 | 0.6 | 0.7 | 0.5 | 0.7 | 0.3 | 0 | 0.4 | 0.7 | 6.6 |
| 2005 | 1.7 | 0.2 | 0.5 | 0.3 | 0.5 | 0.2 | 0.8 | -0.5 | 0.1 | 1.2 | -0.3 | 0.3 | 5.1 |
| 2006 | 0.2 | 0 | -0.5 | -0.1 | -0.2 | 0.3 | -0.3 | 0.2 | 0.2 | 0 | 0.2 | 0.5 | 0.5 |
| 2007 | 0 | 0.1 | -0.3 | 0.3 | -0.2 | 0.6 | 0.6 | 1.1 | 0 | 0.7 | 0.5 | 0.6 | 4.1 |
| 2008 | 1.1 | 0.2 | 0.4 | 0.7 | -0.2 | 0.6 | 1.1 | 0 | 1 | 0.3 | 1.3 | 0.4 | 7.1 |
| 2009 | 0 | 0.4 | 0 | 0.2 | -0.3 | 1.4 | 1.2 | 1.4 | 0.6 | -0.2 | 0.2 | 0.5 | 5.3 |
| 2010 | 1.6 | 0.7 | 0.2 | 0.6 | 1 | 0.3 | 0.1 | 0.2 | 0.5 | 0.9 | 0.1 | 1.5 | 8 |
| 2011 | 0.2 | 0.2 | 1.1 | 1.6 | 0.7 | 1.3 | 0.9 | 0.1 | 0.3 | 0.9 | -0.3 | 0 | 7.2 |
| 2012 | 0 | 0.1 | 0.3 | 0.2 | 0.5 | 0.2 | 0 | 0.8 | 0 | 0.3 | -0.1 | -0.1 | 2.3 |
| 2013 | 0.5 | 0.6 | 0.1 | -0.4 | 0.1 | 2.3 | 0.6 | 1 | 0.3 | 0 | -0.2 | -0.8 | 4.1 |
| 2014 | -0.1 | 0.3 | 0 | 0.1 | -0.4 | -0.2 | -0.1 | 0.6 | 0.7 | -0.2 | 0 | 0.9 | 1.6 |
| 2015 | 0.3 | 0.6 | 1 | -0.8 | -0.2 | -0.1 | 0.6 | -0.3 | 0.2 | -0.3 | 0.4 | -0.1 | 1.4 |
| 2016 | 0.8 | 0 | -0.3 | 0.7 | 0.5 | 1.7 | -0.2 | -0.2 | -0.1 | -0.5 | -0.7 | 0.3 | 2.1 |
| 2017 | 0.2 | -0.1 | 0.8 | -0.2 | 0.1 | 0.4 | 0.7 | 0.3 | 0.3 | 0.3 | 0.1 | 0.3 | 3 |
| 2018 | 0.7 | -0.5 | 0.9 | 0.2 | 0.3 | 0.6 | -0.2 | 0 | 0.5 | 0.3 | 0.2 | 0.1 | 3 |
| 2019 | 0.2 | -0.1 | -1.2 | 0.3 | 0.1 | -0.9 | 0.3 | 0 | 0.3 | 0 | -0.1 | 0.1 | -1.2 |
| 2020 | 0.1 | -0.6 | -1.5 | 0.3 | 0.4 | 1.1 | -0.6 | 0 | 0.2 | 1.3 | -0.2 | 4.7 | 5.1 |
| 2021 | 0.2 | 0 | 0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
